• Media type: E-Book; Report
  • Title: Optimal Portfolios with Fixed Consumption or Income Streams
  • Contributor: Korn, R. [Author]; Krekel, M. [Author]
  • imprint: KLUEDO - Publication Server of University of Kaiserslautern-Landau (RPTU), 2002
  • Language: English
  • Keywords: Portfolio optimisation ; discretisation of control problems ; HJB equation ; stochastic control
  • Origination:
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  • Description: We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.
  • Access State: Open Access